w-trade-backtest 1.0.3

package/docs/styles/prettify.css

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+.pln {
+  color: #ddd;
+}
+
+/* string content */
+.str {
+  color: #61ce3c;
+}
+
+/* a keyword */
+.kwd {
+  color: #fbde2d;
+}
+
+/* a comment */
+.com {
+  color: #aeaeae;
+}
+
+/* a type name */
+.typ {
+  color: #8da6ce;
+}
+
+/* a literal value */
+.lit {
+  color: #fbde2d;
+}
+
+/* punctuation */
+.pun {
+  color: #ddd;
+}
+
+/* lisp open bracket */
+.opn {
+  color: #000000;
+}
+
+/* lisp close bracket */
+.clo {
+  color: #000000;
+}
+
+/* a markup tag name */
+.tag {
+  color: #8da6ce;
+}
+
+/* a markup attribute name */
+.atn {
+  color: #fbde2d;
+}
+
+/* a markup attribute value */
+.atv {
+  color: #ddd;
+}
+
+/* a declaration */
+.dec {
+  color: #EF5050;
+}
+
+/* a variable name */
+.var {
+  color: #c82829;
+}
+
+/* a function name */
+.fun {
+  color: #4271ae;
+}
+
+/* Specify class=linenums on a pre to get line numbering */
+ol.linenums {
+  margin-top: 0;
+  margin-bottom: 0;
+  padding-bottom: 2px;
+}

package/g.mjs

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+import WTradeBacktest from './src/WTradeBacktest.mjs'
+import ott from './src/ott.mjs' //時區時間函數由外部傳入, 可用src/ott.mjs或自行以dayjs包裝
+
+
+async function test() {
+
+    //arrOhlc, 6根4hr K線
+    let arrOhlc = [
+        { time: '2020-01-01T00:00:00', Open: 100, High: 101, Low: 99, Close: 100 },
+        { time: '2020-01-01T04:00:00', Open: 100, High: 106, Low: 100, Close: 105 },
+        { time: '2020-01-01T08:00:00', Open: 105, High: 107, Low: 102, Close: 103 },
+        { time: '2020-01-01T12:00:00', Open: 103, High: 104, Low: 94, Close: 95 },
+        { time: '2020-01-01T16:00:00', Open: 95, High: 98, Low: 92, Close: 93 },
+        { time: '2020-01-01T20:00:00', Open: 93, High: 99, Low: 95, Close: 97 },
+    ]
+
+    //arrSig, 進場訊號指標序列, param>0.5代表觸發進場
+    let arrSig = [
+        { time: '2020-01-01T00:00:00', param: 1 },
+        { time: '2020-01-01T04:00:00', param: 0 },
+        { time: '2020-01-01T08:00:00', param: 1 },
+        { time: '2020-01-01T12:00:00', param: 0 },
+        { time: '2020-01-01T16:00:00', param: 0 },
+        { time: '2020-01-01T20:00:00', param: 0 },
+    ]
+
+    //funGetSeries, 序列查詢函數, 依key回傳時間序列
+    let funGetSeries = async (key) => {
+        if (key === 'btc') {
+            return arrOhlc
+        }
+        if (key === 'sig') {
+            return arrSig
+        }
+        throw new Error(`invalid key[${key}]`)
+    }
+
+    //strategy, 做多策略: sig>0.5時以Close下單, 止盈5%, 止損3%, 手續費0.05%
+    let strategy = {
+        mode: 'long', //做多
+        keyOhlc: 'btc', //K線序列key
+        conds: [ //進場條件, 各條件以sym與th判斷, opr為'and'或'or'
+            { key: 'sig', sym: '>', th: 0.5, opr: 'and' },
+        ],
+        settings: {
+            uIni: 1000, //初始資金(USDT)
+            uTrade: 100, //每次下單金額(USDT)
+            rTakeProfit: 0.05, //止盈比例
+            rStopLoss: 0.03, //止損比例
+            rFee: 0.0005, //手續費比例
+        },
+    }
+
+    //runStrategy, 執行單一策略回測
+    let r = await WTradeBacktest.runStrategy(ott, strategy, funGetSeries)
+    console.log('runStrategy orders:', r.orders.map((o) => `${o.timeStart} ${o.mode} ${o.priceStart}->${o.priceEnd} ${o.modeResult}`))
+    // => runStrategy orders: [
+    //   '2020-01-01T00:00:00 long 100->105 profit',
+    //   '2020-01-01T08:00:00 long 103->99.91 loss'
+    // ]
+    console.log('runStrategy summary:', {
+        numTrade: r.summary.numTrade,
+        rWin: r.summary.rWin,
+        uEquityFinal: r.summary.uEquityFinal,
+        rCumuProfitOrLossFinal: r.summary.rCumuProfitOrLossFinal,
+    })
+    // => runStrategy summary: {
+    //   numTrade: 2,
+    //   rWin: '50.00%',
+    //   uEquityFinal: 1001.8,
+    //   rCumuProfitOrLossFinal: '0.18%'
+    // }
+
+    //runStrategies, 執行多策略回測(各單附策略sid, 以各策略uIni總和結算)
+    let strategies = [
+        { sid: 's1', ...strategy },
+        { sid: 's2', ...strategy, mode: 'short', conds: [{ key: 'sig', sym: '<', th: 0.5, opr: 'and' }] },
+    ]
+    let rr = await WTradeBacktest.runStrategies(ott, strategies, funGetSeries)
+    console.log('runStrategies orders:', rr.orders.map((o) => `${o.sid} ${o.timeStart} ${o.mode} ${o.modeResult || 'unsettled'}`))
+    // => runStrategies orders: [
+    //   's1 2020-01-01T00:00:00 long profit',
+    //   's2 2020-01-01T04:00:00 short profit',
+    //   's1 2020-01-01T08:00:00 long loss',
+    //   's2 2020-01-01T12:00:00 short loss',
+    //   's2 2020-01-01T16:00:00 short loss',
+    //   's2 2020-01-01T20:00:00 short unsettled'
+    // ]
+    console.log('runStrategies summary:', {
+        uIni: rr.summary.uIni,
+        numTrade: rr.summary.numTrade,
+        numTradeFin: rr.summary.numTradeFin,
+        rWin: rr.summary.rWin,
+        uEquityFinal: rr.summary.uEquityFinal,
+        rSharpe: rr.summary.rSharpe,
+    })
+    // => runStrategies summary: {
+    //   uIni: 2000,
+    //   numTrade: 6,
+    //   numTradeFin: 5,
+    //   rWin: '40.00%',
+    //   uEquityFinal: 2000.5000000000005,
+    //   rSharpe: 0.36228441865471217
+    // }
+
+    //calcOrders, 手工訂單結算: 給定下單清單, 依K線判斷止盈止損並計算盈虧
+    let ordersSubmit = [
+        {
+            mode: 'long',
+            timeStart: '2020-01-01T00:00:00',
+            priceStart: 100,
+            uTrade: 100,
+            priceTakeProfit: 105,
+            priceStopLoss: 97,
+            timeEnd: '',
+            priceEnd: '',
+            modeResult: '',
+            uFee: 0.05,
+        },
+    ]
+    let ordersClose = await WTradeBacktest.calcOrders(arrOhlc, ordersSubmit, { uIni: 1000 })
+    console.log('calcOrders:', ordersClose.map((o) => `${o.timeStart}->${o.timeEnd} ${o.modeResult} uProfitOrLoss=${o.uProfitOrLoss}`))
+    // => calcOrders: [ '2020-01-01T00:00:00->2020-01-01T04:00:00 profit uProfitOrLoss=4.9' ]
+
+    //calcSummary, 基於全部交易單重算累積收益並統計摘要
+    let summary = await WTradeBacktest.calcSummary(ott, 1000, ordersClose, '2020-01-01T00:00:00', '2020-01-01T20:00:00')
+    console.log('calcSummary:', {
+        numTrade: summary.numTrade,
+        rWin: summary.rWin,
+        uEquityFinal: summary.uEquityFinal,
+    })
+    // => calcSummary: { numTrade: 1, rWin: '100.00%', uEquityFinal: 1004.9 }
+
+    //genReportCore, 產出html報告(內含權益曲線, 訂單表格, 時間軸與摘要)
+    WTradeBacktest.genReportCore({ name: '示範策略', orders: rr.orders, summary: rr.summary }, './test/tmp-g/report.html')
+    console.log('genReportCore: ./test/tmp-g/report.html')
+    // => genReportCore: ./test/tmp-g/report.html
+
+}
+test()
+    .catch((err) => {
+        console.log('catch', err)
+    })
+
+
+//node g.mjs

package/package.json

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+{
+  "name": "w-trade-backtest",
+  "version": "1.0.3",
+  "main": "dist/w-trade-backtest.umd.js",
+  "dependencies": {
+    "dayjs": "^1.11.21",
+    "lodash-es": "^4.18.1",
+    "w-data-tdprovide": "^1.0.3",
+    "wsemi": "^1.8.67"
+  },
+  "devDependencies": {
+    "w-package-tools": "^1.1.12"
+  },
+  "scripts": {
+    "test": "mocha \"test/unit-*.test.mjs\" --parallel --timeout 60000",
+    "deploy": "gh-pages -d docs"
+  },
+  "repository": {
+    "type": "git",
+    "url": "git+https://github.com/yuda-lyu/w-trade-backtest.git"
+  },
+  "keywords": [
+    "package",
+    "tool",
+    "csv",
+    "nodejs"
+  ],
+  "author": "yuda-lyu(semisphere)",
+  "license": "MIT"
+}

package/script.txt

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+#node toolg/addVersion.mjs
+node toolg/modifyReadme.mjs
+
+node toolg/cleanFolder.mjs
+./node_modules/.bin/jsdoc -c .jsdoc
+
+node toolg/gDocsExams.mjs
+
+node toolg/gDistRollup.mjs
+
+git add .  -A
+git commit -m 'modify: '
+git push origin master:master
+
+npm run deploy
+
+#npm test
+
+#npm publish

package/src/WTradeBacktest.mjs

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+import runStrategy from './runStrategy.mjs'
+import runStrategies from './runStrategies.mjs'
+import calcOrders from './calcOrders.mjs'
+import calcOrdersRatio from './calcOrdersRatio.mjs'
+import calcOrdersSummary from './calcOrdersSummary.mjs'
+import calcOrdersSummarySimple from './calcOrdersSummarySimple.mjs'
+import calcSummary from './calcSummary.mjs'
+import closeAndSummaryOrders from './closeAndSummaryOrders.mjs'
+import genReport from './genReport.mjs'
+import genReportCore from './genReportCore.mjs'
+
+
+let r = {
+    runStrategy,
+    runStrategies,
+    calcOrders,
+    calcOrdersRatio,
+    calcOrdersSummary,
+    calcOrdersSummarySimple,
+    calcSummary,
+    closeAndSummaryOrders,
+    genReport,
+    genReportCore,
+}
+
+
+export default r

package/src/calcOrders.mjs

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+import each from 'lodash-es/each.js'
+import get from 'lodash-es/get.js'
+import sortBy from 'lodash-es/sortBy.js'
+import dig from 'wsemi/src/dig.mjs'
+import haskey from 'wsemi/src/haskey.mjs'
+
+
+/**
+ * 結算訂單，依K線序列判斷各下單之止盈止損觸發並計算盈虧
+ *
+ * 各單僅檢查time大於timeStart之K棒，long以Low<=priceStopLoss先判止損、High>=priceTakeProfit判止盈，short以High>=priceStopLoss先判止損、Low<=priceTakeProfit判止盈
+ * long盈虧為uTrade*(priceEnd/priceStart)-uTrade-2*uFee，short盈虧為(priceStart-priceEnd)*(uTrade/priceStart)-2*uFee
+ * 依timeStart排序逐單累計uCumuProfitOrLoss與uEquity(自uIni起算)，modeResult為盈虧<0時'loss'否則'profit'，未觸發止盈止損者維持原單(未平倉)
+ *
+ * Unit Test: {@link https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs Github}
+ * @function
+ * @param {Array} arrOhlc 輸入K線陣列，各元素需含time、High、Low欄位
+ * @param {Array} orders 輸入下單陣列，各元素需含mode('long'或'short')、timeStart、priceStart、uTrade、priceTakeProfit、priceStopLoss、uFee欄位
+ * @param {Object} [opt={}] 輸入設定物件，預設{}
+ * @param {Number} [opt.uIni=1000] 輸入初始資金數字，預設1000
+ * @returns {Promise} 回傳Promise，resolve為結算後訂單陣列
+ * @example
+ *
+ * let arrOhlc = [
+ *     { time: '2020-01-01T00:00:00', Open: 100, High: 101, Low: 99, Close: 100 },
+ *     { time: '2020-01-01T04:00:00', Open: 100, High: 106, Low: 100, Close: 105 },
+ *     { time: '2020-01-01T08:00:00', Open: 105, High: 107, Low: 102, Close: 103 },
+ *     { time: '2020-01-01T12:00:00', Open: 103, High: 104, Low: 94, Close: 95 },
+ *     { time: '2020-01-01T16:00:00', Open: 95, High: 98, Low: 92, Close: 93 },
+ *     { time: '2020-01-01T20:00:00', Open: 93, High: 99, Low: 95, Close: 97 },
+ * ]
+ *
+ * let orders = [{
+ *     mode: 'long',
+ *     timeStart: '2020-01-01T00:00:00',
+ *     priceStart: 100,
+ *     uTrade: 100,
+ *     priceTakeProfit: 105,
+ *     priceStopLoss: 97,
+ *     timeEnd: '',
+ *     priceEnd: '',
+ *     modeResult: '',
+ *     uFee: 0.05,
+ * }]
+ *
+ * calcOrders(arrOhlc, orders, { uIni: 1000 })
+ *     .then((rs) => {
+ *         console.log(rs[0])
+ *         // => {
+ *         //   mode: 'long',
+ *         //   timeStart: '2020-01-01T00:00:00',
+ *         //   priceStart: 100,
+ *         //   uTrade: 100,
+ *         //   priceTakeProfit: 105,
+ *         //   priceStopLoss: 97,
+ *         //   timeEnd: '2020-01-01T04:00:00',
+ *         //   priceEnd: 105,
+ *         //   modeResult: 'profit',
+ *         //   uFee: 0.05,
+ *         //   uProfitOrLoss: 4.9,
+ *         //   rProfitOrLoss: 0.049,
+ *         //   uCumuProfitOrLoss: 4.9,
+ *         //   rCumuProfitOrLoss: '0.49%',
+ *         //   uEquity: 1004.9
+ *         // }
+ *     })
+ *
+ */
+let calcOrders = async(arrOhlc, orders, opt = {}) => {
+
+    //sortBy, 已或未平倉訂單一定有timeStart欄位
+    orders = sortBy(orders, 'timeStart')
+
+    //uIni
+    let uIni = get(opt, 'uIni', 1000)
+
+    //kpOhlc
+    let kpOhlc = {}
+    each(arrOhlc, (v) => {
+        // console.log('v', v)
+        //   time: '2025-10-31T12:00:00',
+        //   Open: 3829.16,
+        //   High: 3873.68,
+        //   Low: 3821.67,
+        //   Close: 3831.49,
+        //   Volumn: 56050.6433,
+        //   CloseTime: '2025-10-31T15:59:59',
+        //   QuoteAssetVolume: 215591315.444694,
+        //   NumberOfTrades: 634069,
+        //   TakerBuyBaseAssetVolume: 28908.4413,
+        //   TakerBuyQuoteAssetVolume: 111187066.78764
+        kpOhlc[v['time']] = v
+    })
+    // console.log('kpOhlc', kpOhlc)
+
+    //kpOrders
+    let kpOrders = {}
+    let uEquity = uIni
+    let uCumuProfitOrLoss = 0
+    each(orders, (o, ko) => {
+
+        each(kpOhlc, (g) => {
+
+            //check, 小於等於下單時間不計算
+            if (g['time'] <= o.timeStart) {
+                delete kpOhlc[g['time']]
+                return true //跳出換下一個
+            }
+            // console.log('size(kpOhlc)', size(kpOhlc))
+
+            if (o.mode === 'long') {
+
+                if (g.Low <= o.priceStopLoss) { //先偵測出現止損
+                    //止損
+                    o.timeEnd = g['time']
+                    o.priceEnd = o.priceStopLoss
+                    o.uProfitOrLoss = (o.uTrade * (o.priceEnd / o.priceStart)) - o.uTrade - 2 * o.uFee //須扣除手續費
+                    o.rProfitOrLoss = o.uProfitOrLoss / o.uTrade
+                    uCumuProfitOrLoss += o.uProfitOrLoss
+                    o.uCumuProfitOrLoss = uCumuProfitOrLoss
+                    o.rCumuProfitOrLoss = dig((o.uCumuProfitOrLoss / uIni) * 100, 2) + '%' //單位為%
+                    uEquity += o.uProfitOrLoss
+                    o.uEquity = uEquity
+                    o.modeResult = o.uProfitOrLoss < 0 ? 'loss' : 'profit'
+                    kpOrders[ko] = o
+                    return false //跳出
+                }
+                if (g.High >= o.priceTakeProfit) { //後偵測出現止盈
+                    //止盈
+                    o.timeEnd = g['time']
+                    o.priceEnd = o.priceTakeProfit
+                    o.uProfitOrLoss = (o.uTrade * (o.priceEnd / o.priceStart)) - o.uTrade - 2 * o.uFee //須扣除手續費
+                    o.rProfitOrLoss = o.uProfitOrLoss / o.uTrade
+                    uCumuProfitOrLoss += o.uProfitOrLoss
+                    o.uCumuProfitOrLoss = uCumuProfitOrLoss
+                    o.rCumuProfitOrLoss = dig((o.uCumuProfitOrLoss / uIni) * 100, 2) + '%' //單位為%
+                    uEquity += o.uProfitOrLoss
+                    o.uEquity = uEquity
+                    o.modeResult = o.uProfitOrLoss < 0 ? 'loss' : 'profit'
+                    kpOrders[ko] = o
+                    return false //跳出
+                }
+
+            }
+            else { //short
+
+                if (g.High >= o.priceStopLoss) { //先偵測出現止損
+                    //止損
+                    o.timeEnd = g['time']
+                    o.priceEnd = o.priceStopLoss
+                    o.uProfitOrLoss = (o.priceStart - o.priceEnd) * (o.uTrade / o.priceStart) - 2 * o.uFee //須扣除手續費
+                    o.rProfitOrLoss = o.uProfitOrLoss / o.uTrade
+                    uCumuProfitOrLoss += o.uProfitOrLoss
+                    o.uCumuProfitOrLoss = uCumuProfitOrLoss
+                    o.rCumuProfitOrLoss = dig((o.uCumuProfitOrLoss / uIni) * 100, 2) + '%' //單位為%
+                    uEquity += o.uProfitOrLoss
+                    o.uEquity = uEquity
+                    o.modeResult = o.uProfitOrLoss < 0 ? 'loss' : 'profit'
+                    kpOrders[ko] = o
+                    return false //跳出
+                }
+                if (g.Low <= o.priceTakeProfit) { //後偵測出現止盈
+                    //止盈
+                    o.timeEnd = g['time']
+                    o.priceEnd = o.priceTakeProfit
+                    o.uProfitOrLoss = (o.priceStart - o.priceEnd) * (o.uTrade / o.priceStart) - 2 * o.uFee //須扣除手續費
+                    o.rProfitOrLoss = o.uProfitOrLoss / o.uTrade
+                    uCumuProfitOrLoss += o.uProfitOrLoss
+                    o.uCumuProfitOrLoss = uCumuProfitOrLoss
+                    o.rCumuProfitOrLoss = dig((o.uCumuProfitOrLoss / uIni) * 100, 2) + '%' //單位為%
+                    uEquity += o.uProfitOrLoss
+                    o.uEquity = uEquity
+                    o.modeResult = o.uProfitOrLoss < 0 ? 'loss' : 'profit'
+                    kpOrders[ko] = o
+                    return false //跳出
+                }
+
+            }
+
+        })
+
+    })
+    // console.log('kpOrders', kpOrders)
+
+    if (true) {
+        let _orders = []
+        each(orders, (o, ko) => {
+            // console.log('o', o)
+            let oo = null
+            if (haskey(kpOrders, ko)) {
+                oo = kpOrders[ko]
+            }
+            else {
+                oo = o
+            }
+            // console.log('oo', oo)
+            _orders.push(oo)
+        })
+        orders = _orders
+    }
+
+    return orders
+}
+
+
+export default calcOrders

package/src/calcOrdersRatio.mjs

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+import map from 'lodash-es/map.js'
+import isestr from 'wsemi/src/isestr.mjs'
+
+
+/**
+ * 計算各已平倉訂單之持倉天數與等效日盈虧比例
+ *
+ * dayHold以timeStart與timeEnd之日期差+1計算，rProfitOrLossDay為(1+rProfitOrLoss)^(1/dayHold)-1
+ * modeResult非有效字串(未平倉)之訂單不計算
+ *
+ * Unit Test: {@link https://github.com/yuda-lyu/w-trade-backtest/blob/master/test/unit-WTradeBacktest.test.mjs Github}
+ * @function
+ * @param {Function} ott 輸入時區時間函數，傳入時間字串回傳dayjs時間物件(可用src/ott.mjs或自行以dayjs包裝)
+ * @param {Array} orders 輸入已結算訂單陣列，各元素需含modeResult、timeStart、timeEnd、rProfitOrLoss欄位
+ * @returns {Array} 回傳附加dayHold與rProfitOrLossDay之訂單陣列
+ * @example
+ *
+ * let orders = calcOrdersRatio(ott, [{
+ *     modeResult: 'profit',
+ *     timeStart: '2020-01-01T20:00:00',
+ *     timeEnd: '2020-01-03T04:00:00',
+ *     rProfitOrLoss: 0.331,
+ * }])
+ * console.log(orders[0])
+ * // => {
+ * //   modeResult: 'profit',
+ * //   timeStart: '2020-01-01T20:00:00',
+ * //   timeEnd: '2020-01-03T04:00:00',
+ * //   rProfitOrLoss: 0.331,
+ * //   dayHold: 3,
+ * //   rProfitOrLossDay: 0.10000000000000009
+ * // }
+ *
+ */
+let calcOrdersRatio = (ott, orders) => {
+
+    //計算各單持倉天數, 盈虧比例, 等效日盈虧比例
+    orders = map(orders, (o) => {
+
+        //未平倉訂單不計算
+        if (!isestr(o.modeResult)) {
+            return o
+        }
+
+        //dayHold, 持倉天數
+        let ts = ott(o.timeStart)
+        let te = ott(o.timeEnd)
+        let ds = ts.format('YYYY-MM-DD')
+        let de = te.format('YYYY-MM-DD')
+        let tcs = ott(ds, 'YYYY-MM-DD')
+        let tce = ott(de, 'YYYY-MM-DD')
+        let dayHold = tce.diff(tcs, 'day') + 1
+        o.dayHold = dayHold
+        // console.log('ds', ds, 'de', de, dayHold)
+
+        //rProfitOrLossDay, 等效日盈虧比例(none)
+        let rProfitOrLossDay = 0
+        if ((1 + o.rProfitOrLoss) >= 0) {
+            rProfitOrLossDay = Math.pow((1 + o.rProfitOrLoss), 1 / o.dayHold) - 1
+        }
+        // let rProfitOrLossDay = Math.pow((1 + o.rProfitOrLoss), 1 / o.dayHold) - 1
+
+        o.rProfitOrLossDay = rProfitOrLossDay
+        // console.log('rProfitOrLossDay', rProfitOrLossDay)
+
+        return o
+    })
+    // console.log('orders', orders[size(orders) - 1], size(orders))
+
+    return orders
+}
+
+
+export default calcOrdersRatio